金工团队的探索与实践：解码量化投资

解码量化投资——国君金工团队的探索与实践 1请参阅附注免责声明 2请参阅附注免责声明 3请参阅附注免责声明 4请参阅附注免责声明 5请参阅附注免责声明𝔼(𝑿𝒊,𝒒)𝑿𝒊,𝒒𝑆𝑈𝐸𝑖,𝑞 = 𝑋𝑖,𝑞 − 𝔼 𝑋𝑖,𝑞𝜎𝑖,𝑞 6请参阅附注免责声明500全市场内复合因子主要绩效指标与单因子对比 7请参阅附注免责声明KDB+DolphinDB 节选自张雪杰报告《 8请参阅附注免责声明沪深300y2010y2011y2012y2013y2014y2015y2016y2017y2018y2019y2020y2021y2022y2023平均1分钟ILLIQ3.10%0.88%-0.95%12.14%1.40%26.17%8.29%-15.66%0.73%-7.43%-17.56%23.74%15.29%18.41%4.90%5分钟收益率成交量领先相关性13.78%-4.29%-2.06%19.77%-13.66%26.29%10.21%-6.69%6.56%0.95%1.72%3.73%2.51%11.28%5.01%1分钟收益率峰度11.07%4.22%4.56%7.19%28.43%40.02%4.72%-12.89%-1.14%-3.24%-16.26%19.66%11.63%25.68%8.83%1分钟路径动量22.77%-8.21%1.25%12.67%-5.34%36.72%8.44%-14.70%0.44%10.75%-5.73%16.08%6.01%0.71%5.85%5分钟收益率偏度22.58%-6.57%0.49%11.58%4.16%42.33%5.04%-7.91%8.56%4.00%-3.95%4.36%7.91%7.93%7.18%5分钟极端大收益率均值10.64%-0.05%6.59%12.90%12.40%41.60%2.77%-9.46%-0.24%-3.35%-11.48%10.73%8.11%15.81%6.93%除去早盘30分钟后的涨跌幅13.81%-3.17%12.08%16.92%-6.52%37.30%7.50%-9.30%-1.17%13.82%-4.95%21.94%1.66%-3.02%6.92%1分钟下行波动率占比23.25%-7.15%-0.98%16.64%-1.30%34.82%5.30%-10.31%3.19%3.91%0.28%3.26%6.15%11.22%6.31%5分钟成交量偏度7.28%-5.18%-4.20%23.32%-4.96%36.07%9.15%-17.80%-1.96%-8.45%-13.86%16.37%19.71%17.73%5.23%尾盘成交量波动率13.32%-1.75%-9.79%16.54%-4.89%34.27%4.69%-15.32%-5.27%-15.47%-19.83%24.87%11.82%24.91%4.15%半小时成交量占比44.95%3.21%-0.54%13.26%10.18%27.47%14.74%-5.70%2.86%1.98%-11.63%23.43%7.95%9.29%7.25%半小时成交量占比86.25%2.56%-0.27%19.75%5.57%18.91%1.15%0.77%-0.14%20.87%6.10%19.16%2.10%-2.20%7.18%5分钟特质残差的峰度24.20%1.94%1.32%1.26%12.29%29.72%12.89%-7.50%11.53%-3.04%-9.57%20.91%17.88%22.83%9.76%5分钟特质残差的偏度23.18%-4.25%3.53%17.88%-3.15%21.14%10.71%-5.38%10.11%10.82%2.10%-0.34%4.46%0.69%6.54%1分钟残差下行波动率占比23.92%-0.73%-2.39%16.60%3.13%25.45%8.70%-5.36%2.74%8.09%-6.02%6.22%-1.96%2.48%5.78%成交量方差比率7.09%9.29%-2.23%11.97%3.60%30.35%9.40%-13.60%-1.24%-15.07%-21.36%21.65%13.09%21.93%5.35%中证全指y2010y2011y2012y2013y2014y2015y2016y2017y2018y2019y2020y2021y2022y2023平均1分钟ILLIQ-2.12%4.93%23.68%5.19%73.85%42.16%-17.76%12.10%3.03%-4.59%41.08%37.57%18.35%18.27%5分钟收益率成交量领先相关性-2.15%2.44%22.99%-5.13%56.72%24.30%-16.71%10.03%6.48%-6.83%20.01%16.45%13.12%10.90%1分钟收益率峰度-3.79%1.11%9.86%22.68%28.78%26.44%-11.95%9.66%8.04%-3.94%50.19%36.45%16.46%14.61%1分钟路径动量-2.68%1.71%24.53%-5.55%55.08%20.15%-16.92%10.86%11.48%-11.73%24.66%16.04%9.95%10.58%5分钟收益率偏度-3.76%3.20%22.11%7.19%40.93%26.56%-12.89%19.16%10.33%-6.26%29.37%23.02%14.22%13.32%5分钟极端大收益率均值-4.38%-0.64%16.40%1.01%28.97%21.06%-13.37%3.70%0.23%-10.78%27.07%17.65%16.31%7.94%除去早盘30分钟后的涨跌幅-1.20%7.49%34.34%4.17%70.36%30.75%-13.97%16.53%8.15%-7.80%27.58%11.06%11.04%15.27%1分钟下行波动率占比-3.53%5.10%24.03%4.79%41.59%27.10%-13.66%17.18%11.40%-6.59%28.99%21.63%14.13%13.24%5分钟成交量偏度-2.36%5.38%26.68%4.36%50.97%31.87%-10.21%5.35%4.61%-5.16%34.96%17.64%16.15%14.86%尾盘成交量波动率-2.73%4.09%25.61%3.30%55.97%31.18%-12.59%4.91%-0.44%-9.23%35.61%25.55%15.90%13.62%半小时成交量占比4-2.12%4.55%27.35%4.38%40.04%16.45%-11.69%10.07%0.40%-2.56%28.64%12.13%9.32%10.54%半小时成交量占比8-3.74%0.40%33.48%-4.13%29.95%10.77%-9.58%5.45%-4.26%-3.56%30.63%3.74%-5.10%6.46%5分钟特质残差的峰度-1.15%13.20%18.60%1